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Risk and return in the Tehran stock exchange

Mohammad Jahan-Parvar and Hassan Mohammadi

The Quarterly Review of Economics and Finance, 2013, vol. 53, issue 3, 238-256

Abstract: This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of integration with regional and international equity markets. We find that TSE returns are CAPM-efficient at monthly frequency with respect to several international market indices. Moreover, we find evidence in support of international integration of the TSE with respect to international markets. In addition, we conduct an extensive investigation for the direction of causality between TSE returns, international market index returns, and those in neighboring countries.

Keywords: Conditional correlation and skewness; Efficiency; Emerging and frontier markets; ICAPM; Integration and segmentation (search for similar items in EconPapers)
JEL-codes: C22 C32 G12 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:53:y:2013:i:3:p:238-256

DOI: 10.1016/j.qref.2013.05.005

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